Stochastic Analysis-Stochastic Differential Equations

Yaozhong Hu (University of Alberta)

Jan 6, 2025 — Apr 9, 2025

About the course

This is a one semester three credit hour course. We shall first briefly introduce some basic concepts and results on stochastic processes, in particular the Brownian motions. Then we will discuss stochastic integrals, Ito formula, the existence and uniqueness of stochastic differential equations, some fundamental properties of the solution. We will concern with the Markov property, Kolmogorov backward and forward equations, Feynman-Kac formula, Girsanov formula. We will also concern with the ergodic theory and other stability problems. We may also mention some results on numerical simulations, Malliavin calculus and so on.


This course is available for registration under the Western Dean's Agreement. To register, you must obtain the approval of the course instructor and you must complete the Western Dean's agreement form , using the details below. The completed form should be signed by your home institution department and school of graduate studies, then returned to the host institution of the course.

Enrollment Details

Course Name
Stochastic Analysis-Stochastic Differential Equation
Jan 6, 2025 — Apr 9, 2025
Course Number
MATH 510
Section Number
Lecture Q1
Section Code


For help with completing the Western Dean’s agreement form, please contact the graduate student program coordinator at your institution. For more information about the agreement, please see the Western Dean's Agreement website

Other Course Details

Remote Access

We will use zoom for each lecture. The eclass website will be used to post lecture slides, homework collections, monitor midterm and final examinations